Value at risk comparision with all benchmark 20 day returns over trading period

i.e. The benchmark VaR here is representative of all possible 20 day returns and not restricted to the evaluation dates used for simualtions

Simulated Portfolio VaR (95%): -4.19%

Benchmark VaR (95%): -3.26%

Percentile of Simulated Returns Exceeding Benchmark Max: 1.63%

Value at risk comparision with benchmark 20 day returns over trading period using only test evaluation dates

Simulated Portfolio VaR (95%): -4.19%

Benchmark VaR (95%): -2.25%

Percentile of Simulated Returns Exceeding Benchmark Max: 10.92%

Analysis of indiviual VaR from all combos on specific evaluation date with benchmark comparision

Breakdown Plots:

evaluation start: 2023-07-25 end: 2023-08-22	evaluation start: 2023-08-22 end: 2023-09-19
evaluation start: 2023-09-19 end: 2023-10-17	evaluation start: 2023-10-17 end: 2023-11-14
evaluation start: 2023-11-14 end: 2023-12-12	evaluation start: 2023-12-12 end: 2024-01-12
evaluation start: 2024-01-12 end: 2024-02-12	evaluation start: 2024-02-12 end: 2024-03-11
evaluation start: 2024-03-11 end: 2024-04-10	evaluation start: 2024-04-10 end: 2024-05-09
evaluation start: 2024-05-09 end: 2024-06-06	evaluation start: 2024-06-06 end: 2024-07-05
evaluation start: 2024-05-01 end: 2024-05-29	evaluation start: 2024-06-03 end: 2024-07-02
evaluation start: 2024-07-01 end: 2024-07-29

Analysis of indiviual VaR over all evaluation periods for specific combos with benchmark comparision

Breakdown Plots:

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	False	False	False	True	False	False	-0.081177	0.0

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	False	False	False	False	True	True	-0.038447	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	False	False	True	True	False	False	-0.07587	0.0

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	False	False	True	False	True	True	-0.054383	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	False	True	False	True	False	False	-0.048913	0.0

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	False	True	False	False	True	True	-0.027089	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	False	True	True	True	False	False	-0.041166	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	False	True	True	False	True	True	-0.049627	0.033333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	True	False	False	True	False	False	-0.022999	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	True	False	False	False	True	True	-0.045818	0.2

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	True	False	True	True	False	False	-0.052841	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	True	False	True	False	True	True	-0.036524	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	True	True	False	True	False	False	-0.021381	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	False	True	True	False	False	True	True	-0.037891	0.233333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	False	False	False	True	False	False	-0.042199	0.02439

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	False	False	False	True	True	False	-0.014486	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	False	False	True	True	False	False	-0.022516	0.076923

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	False	False	True	True	True	False	-0.028886	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	False	True	False	True	False	False	-0.037811	0.04878

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	False	True	False	True	True	False	-0.048908	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	False	True	True	True	False	False	-0.051696	0.047619

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	False	True	True	True	True	False	-0.032927	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	True	False	False	True	False	False	-0.025589	0.069767

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	True	False	False	True	True	False	-0.008329	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	True	False	True	True	False	False	-0.035301	0.097561

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	True	False	True	True	True	False	-0.029808	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	True	True	False	True	False	False	-0.038184	0.02439

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
False	True	True	True	False	True	True	False	-0.03929	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	False	False	False	True	False	False	-0.014499	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	False	False	False	False	True	True	-0.05083	0.263158

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	False	False	True	True	False	False	-0.029413	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	False	False	True	False	True	True	-0.035002	0.166667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	False	True	False	True	False	False	-0.044539	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	False	True	False	False	True	True	-0.03086	0.194444

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	False	True	True	True	False	False	-0.037206	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	False	True	True	False	True	True	-0.058728	0.157895

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	True	False	False	True	False	False	-0.024604	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	True	False	False	False	True	True	-0.026773	0.147059

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	True	False	True	True	False	False	-0.022886	0.2

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	True	False	True	False	True	True	-0.039722	0.277778

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	True	True	False	True	False	False	-0.036428	0.333333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	False	True	True	False	False	True	True	-0.01747	0.27027

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	False	False	False	True	False	False	-0.032728	0.0

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	False	False	False	True	True	False	-0.019812	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	False	False	True	True	False	False	-0.029388	0.069767

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	False	False	True	True	True	False	-0.050053	0.266667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	False	True	False	True	False	False	-0.036909	0.023256

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	False	True	False	True	True	False	-0.067843	0.066667

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	False	True	True	True	False	False	-0.040743	0.069767

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	False	True	True	True	True	False	-0.052253	0.133333

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	True	False	False	True	False	False	-0.046008	0.044444

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	True	False	False	True	True	False	-0.009991	0.2

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	True	False	True	True	False	False	-0.027472	0.046512

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	True	False	True	True	True	False	-0.024666	0.2

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	True	True	False	True	False	False	-0.047307	0.095238

opt_entry_exit	pmwf	ur_1	ur_signal	uhr	ufmfgs	ctwof1	ctwof2	VaR	exceed_percentiles
True	True	True	True	False	True	True	False	-0.053903	0.133333

Return to selection screen